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The impact of the financial crisis on transatlantic information flows: An intraday analysis
13 references·15 citing·41 second hop
The impact of the financial crisis on transatlantic information flows: An intraday analysis (2014)The impact of the financial crisis on tra…Using transfer entropy to measure information flows between financial markets (2013)Using transfer entropy to mea…EXTREME VALUE THEORY IN FINANCE: A SURVEY (2013)EXTREME VALUE THEORY IN FINAN…The subprime credit crisis and contagion in financial markets (2010)The subprime credit crisis an…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…The rise in comovement across national stock markets: market integration or IT bubble? 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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2010The subprime credit crisis and contagion in financial markets654 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2002Analysing the information flow between financial time series448 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • 2004The rise in comovement across national stock markets: market integration or IT bubble?263 cited
  • 2013Using transfer entropy to measure information flows between financial markets127 cited
  • 2013EXTREME VALUE THEORY IN FINANCE: A SURVEY112 cited

Cited by

  • 2019RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy182 cited

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2023
RETRACTED: The impacts of climate policy uncertainty on stock markets: Comparison between China and the US
161 cited
  • 2014Structure of a Global Network of Financial Companies Based on Transfer Entropy139 cited
  • 2017Comparison of transfer entropy methods for financial time series91 cited
  • 2015Dependency Relations among International Stock Market Indices88 cited
  • 2017Price discovery in agricultural commodity markets in the presence of futures speculation81 cited
  • 2021COVID-19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN-Based Transfer Entropy Approach71 cited
  • 2019Integration and risk contagion in financial crises: Evidence from international stock markets68 cited
  • 2021Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment64 cited
  • 2013Structure and causality relations in a global network of financial companies61 cited
  • 2021Information Flow between Global Equities and Cryptocurrencies: A VMD‐Based Entropy Evaluating Shocks from COVID‐19 Pandemic60 cited
  • 2015Intra-daily volatility spillovers in international stock markets49 cited
  • 2021Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze39 cited
  • 2022Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology31 cited
  • 2021Effective transfer entropy to measure information flows in credit markets22 cited